|I guess you know this from the manual:|
"To select a boot device manually, press the <F9> key when the
BenQ logo appears on the screen during system startup. The
Boot Menu will appear. Use the up and down arrow keys to select a boot device, and then press <Enter> to confirm"
If it's going ahead and booting into windows it likely means you pressed the key too late. Start tapping it as soon as you turn it on.
To have a USB keyboard work during bios setup you need to previously have 'legacy USB support' enabled in 'advanced configuration' from the main bios menu (F2 during BenQ logo).
Here's a downnload for the manual if you don't have it:
Copy and paste.